statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults

class statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults(model, simulation_smoother, rng=None)

Results from applying the Kalman smoother and/or filter to a state space model.

Parameters:

modelRepresentation

A Statespace representation

simulation_smoother{{prefix}}SimulationSmoother object

The Cython simulation smoother object with which to simulation smooth.

rngint, array_like of int, numpy.random.Generator, or numpy.random.RandomState, optional

If rng is None, a new Generator is created using fresh entropy from the operating system. If rng is an int or array of ints, a new Generator is created, seeded with rng. If rng is already a Generator or RandomState instance, that instance is used.

rngint, array_like of int, numpy.random.Generator, or numpy.random.RandomState, optional

Deprecated since version 0.15: random_state has been deprecated. In-line with SPEC-007, use rng for passing a random number generator or seed.

Attributes:

modelRepresentation

A Statespace representation

dtypedtype

Datatype of representation matrices

prefixstr

BLAS prefix of representation matrices

simulation_outputint

Bitmask controlling simulation output.

simulate_statebool

Flag for if the state is included in simulation output.

simulate_disturbancebool

Flag for if the state and observation disturbances are included in simulation output.

simulate_allbool

Flag for if simulation output should include everything.

generated_measurement_disturbancendarray

Randomly drawn measurement disturbance variates

generated_state_disturbancendarray

Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.

generated_obsndarray

Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.

generated_statendarray

Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.

simulated_statendarray

Random draw of the state vector from its conditional distribution.

simulated_measurement_disturbancendarray

Random draw of the measurement disturbance vector from its conditional distribution.

simulated_state_disturbancendarray

Random draw of the state disturbance vector from its conditional distribution.

Methods

simulate([simulation_output, ...])

Perform simulation smoothing

Methods

simulate([simulation_output, ...])

Perform simulation smoothing

Properties

generated_measurement_disturbance	Randomly drawn measurement disturbance variates
generated_obs	Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
generated_state	Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
generated_state_disturbance	Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
simulate_all
simulate_disturbance
simulate_state
simulated_measurement_disturbance	Random draw of the measurement disturbance vector from its conditional distribution.
simulated_state	Random draw of the state vector from its conditional distribution.
simulated_state_disturbance	Random draw of the state disturbance vector from its conditional distribution.
simulation_output